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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

(In millions)									Netting
	Level 1		(a)	Level 2		(a)	Level 3		adjustment		(b)	Net balance
September 30, 2012
Assets
Investment securities
Debt
U.S. corporate	$	0		$	20,601		$	3,578	$	0		$	24,179
State and municipal		0			4,338			153		0			4,491
Residential mortgage-backed		0			2,390			34		0			2,424
Commercial mortgage-backed		0			3,073			6		0			3,079
Asset-backed(c)		0			726			4,819		0			5,545
Corporate - non-U.S.		70			1,214			1,295		0			2,579
Government - non-U.S.		895			1,021			41		0			1,957
U.S. government and federal agency		0			3,309			267		0			3,576
Retained interests		0			0			29		0			29
Equity
Available-for-sale		547			15			11		0			573
Trading		263			0			0		0			263
Derivatives(d)		0			11,876			155		(7,133)			4,898
Other(e)		0			0			416		0			416
Total	$	1,775		$	48,563		$	10,804	$	(7,133)		$	54,009

Liabilities
Derivatives	$	0		$	4,491		$	14	$	(3,883)		$	622
Other		0			24			0		0			24
Total	$	0		$	4,515		$	14	$	(3,883)		$	646

December 31, 2011
Assets
Investment securities
Debt
U.S. corporate	$	0		$	20,535		$	3,235	$	0		$	23,770
State and municipal		0			3,157			77		0			3,234
Residential mortgage-backed		0			2,568			41		0			2,609
Commercial mortgage-backed		0			2,824			4		0			2,828
Asset-backed(c)		0			930			4,040		0			4,970
Corporate - non-U.S.		71			1,058			1,204		0			2,333
Government - non-U.S.		1,003			1,444			84		0			2,531
U.S. government and federal agency		0			3,805			253		0			4,058
Retained interests		0			0			35		0			35
Equity
Available-for-sale		715			18			17		0			750
Trading		241			0			0		0			241
Derivatives(d)		0			14,830			160		(5,319)			9,671
Other(e)		0			0			388		0			388
Total	$	2,030		$	51,169		$	9,538	$	(5,319)		$	57,418

Liabilities
Derivatives	$	0		$	4,503		$	20	$	(4,025)		$	498
Other		0			25			0		0			25
Total	$	0		$	4,528		$	20	$	(4,025)		$	523

There were no securities transferred between Level 1 and Level 2 during the nine months ended September 30, 2012.
The netting of derivative receivables and payables is permitted when a legally enforceable master netting agreement exists and when collateral is posted to us.
Includes investments in our CLL business in asset-backed securities collateralized by senior secured loans of high-quality, middle-market companies in a variety of industries.
The fair value of derivatives included an adjustment for non-performance risk. The cumulative adjustment was a loss of $21 million and $11 million at September 30, 2012 and December 31, 2011, respectively. See Note 11 for additional information on the composition of our derivative portfolio.
Included private equity investments and loans designated under the fair value option.

Changes in level 3 instruments

Changes in Level 3 Instruments for the Three Months Ended September 30, 2012

																						Net
(In millions)																						change in
						Net realized/																unrealized
			Net			unrealized																gains
			realized/			gains (losses)																(losses)
			unrealized			included in																relating to
			gains			accumulated																instruments
	Balance at		(losses)			other								Transfers			Transfers			Balance at		still held at
	July 1,		included in			comprehensive								into			out of			September 30,		September 30,
	2012		earnings		(a)	income		Purchases		Sales		Settlements		Level 3		(b)	Level 3		(b)	2012		2012		(c)

Investment securities
Debt
U.S. corporate	$	3,372	$	10		$	32	$	70	$	(34)	$	(16)	$	144		$	0		$	3,578	$	0
State and municipal		81		0			8		12		0		(1)		78			(25)			153		0
Residential
mortgage-backed		97		0			(2)		1		0		0		5			(67)			34		0
Commercial
mortgage-backed		0		0			0		0		0		0		6			0			6		0
Asset-backed		4,304		(3)			90		483		(58)		5		4			(6)			4,819		0
Corporate – non-U.S.		1,363		(7)			20		18		(30)		(59)		0			(10)			1,295		0
Government
– non-U.S.		51		0			2		0		0		(12)		0			0			41		0
U.S. government and
federal agency		261		0			6		0		0		0		0			0			267		0
Retained interests		31		1			0		3		(3)		(3)		0			0			29		0
Equity
Available-for-sale		14		0			0		0		0		(1)		1			(3)			11		0
Derivatives(d)(e)		136		15			0		(8)		3		(1)		0			0			145		9
Other		409		(1)			9		54		(55)		0		0			0			416		(1)
Total	$	10,119	$	15		$	165	$	633	$	(177)	$	(88)	$	238		$	(111)		$	10,794	$	8

Earnings effects are primarily included in the “Revenues from services” and “Interest” captions in the Condensed Statement of Earnings.
Transfers in and out of Level 3 are considered to occur at the beginning of the period. Transfers out of Level 3 were a result of increased use of quotes from independent pricing vendors based on recent trading activity.
Represented the amount of unrealized gains or losses for the period included in earnings.
Represented derivative assets net of derivative liabilities and included cash accruals of $4 million not reflected in the fair value hierarchy table.
Gains (losses) included in net realized/unrealized gains (losses) included in earnings were offset by the earnings effects from the underlying items that were economically hedged. See Note 11.

Changes in Level 3 Instruments for the Three Months Ended September 30, 2011

																						Net
(In millions)																						change in
						Net realized/																unrealized
			Net			unrealized																gains
			realized/			gains (losses)																(losses)
			unrealized			included in																relating to
			gains			accumulated																instruments
	Balance at		(losses)			other								Transfers			Transfers			Balance at		still held at
	July 1,		included in			comprehensive								into			out of			September 30,		September 30,
	2011		earnings		(a)	income		Purchases		Sales		Settlements		Level 3		(b)	Level 3		(b)	2011		2011		(c)

Investment securities
Debt
U.S. corporate	$	3,096	$	(22)		$	(32)	$	530	$	(25)	$	2	$	120		$	(2)		$	3,667	$	0
State and municipal		209		0			4		0		0		(4)		0			(120)			89		0
Residential
mortgage-backed		45		0			(1)		0		0		0		0			0			44		0
Commercial
mortgage-backed		7		0			1		0		0		0		0			0			8		0
Asset-backed		3,132		0			(65)		269		(14)		0		0			(417)			2,905		0
Corporate – non-U.S.		1,537		1			(55)		0		(26)		(14)		0			(4)			1,439		0
Government
– non-U.S.		274		(1)			(22)		14		0		(13)		0			(140)			112		0
U.S. government and
federal agency		224		0			32		0		0		0		0			0			256		0
Retained interests		45		(1)			(6)		1		(1)		(1)		0			0			37		0
Equity
Available-for-sale		22		0			(1)		0		0		0		3			0			24		0
Derivatives(d)(e)		111		31			0		(3)		0		(5)		0			0			134		35
Other		595		(1)			(14)		25		(95)		(1)		0			0			509		(1)
Total	$	9,297	$	7		$	(159)	$	836	$	(161)	$	(36)	$	123		$	(683)		$	9,224	$	34

Earnings effects are primarily included in the “Revenues from services” and “Interest” captions in the Condensed Statement of Earnings.
Transfers in and out of Level 3 are considered to occur at the beginning of the period. Transfers out of Level 3 were a result of increased use of quotes from independent pricing vendors based on recent trading activity.
Represented the amount of unrealized gains or losses for the period included in earnings.
Represented derivative assets net of derivative liabilities and included cash accruals of $3 million not reflected in the fair value hierarchy table.
Gains (losses) included in net realized/unrealized gains (losses) included in earnings were offset by the earnings effects from the underlying items that were economically hedged. See Note 11.

Changes in Level 3 Instruments for the Nine Months Ended September 30, 2012

																						Net
(In millions)																						change in
						Net realized/																unrealized
			Net			unrealized																gains
			realized/			gains (losses)																(losses)
			unrealized			included in																relating to
			gains			accumulated																instruments
	Balance at		(losses)			other								Transfers			Transfers			Balance at		still held at
	January 1,		included in			comprehensive								into			out of			September 30,		September 30,
	2012		earnings		(a)	income		Purchases		Sales		Settlements		Level 3		(b)	Level 3		(b)	2012		2012		(c)

Investment securities
Debt
U.S. corporate	$	3,235	$	69		$	(2)	$	202	$	(105)	$	(63)	$	260		$	(18)		$	3,578	$	0
State and municipal		77		0			11		13		0		(1)		78			(25)			153		0
Residential
mortgage-backed		41		(3)			1		1		0		(3)		74			(77)			34		0
Commercial
mortgage-backed		4		0			0		0		(1)		0		6			(3)			6		0
Asset-backed		4,040		0			43		881		(164)		5		20			(6)			4,819		0
Corporate – non-U.S.		1,204		(19)			17		334		(30)		(137)		23			(97)			1,295		0
Government
– non-U.S.		84		(34)			37		65		(72)		(39)		0			0			41		0
U.S. government and
federal agency		253		0			14		0		0		0		0			0			267		0
Retained interests		35		1			(8)		12		(6)		(5)		0			0			29		0
Equity
Available-for-sale		17		0			(2)		3		(4)		(1)		1			(3)			11		0
Derivatives(d)(e)		141		11			(1)		12		0		(14)		0			(4)			145		9
Other		388		3			(4)		88		(59)		0		0			0			416		1
Total	$	9,519	$	28		$	106	$	1,611	$	(441)	$	(258)	$	462		$	(233)		$	10,794	$	10

Earnings effects are primarily included in the “Revenues from services” and “Interest” captions in the Condensed Statement of Earnings.
Transfers in and out of Level 3 are considered to occur at the beginning of the period. Transfers out of Level 3 were a result of increased use of quotes from independent pricing vendors based on recent trading activity.
Represented the amount of unrealized gains or losses for the period included in earnings.
Represented derivative assets net of derivative liabilities and included cash accruals of $4 million not reflected in the fair value hierarchy table.
Gains (losses) included in net realized/unrealized gains (losses) included in earnings were offset by the earnings effects from the underlying items that were economically hedged. See Note 11.

Changes in Level 3 Instruments for the Nine Months Ended September 30, 2011

																						Net
(In millions)																						change in
						Net realized/																unrealized
			Net			unrealized																gains
			realized/			gains (losses)																(losses)
			unrealized			included in																relating to
			gains			accumulated																instruments
	Balance at		(losses)			other								Transfers			Transfers			Balance at		still held at
	January 1,		included in			comprehensive								into			out of			September 30,		September 30,
	2011		earnings		(a)	income		Purchases		Sales		Settlements		Level 3		(b)	Level 3		(b)	2011		2011		(c)

Investment securities
Debt
U.S. corporate	$	3,198	$	79		$	(52)	$	605	$	(180)	$	(101)	$	120		$	(2)		$	3,667	$	0
State and municipal		225		0			(1)		4		0		(8)		0			(131)			89		0
Residential
mortgage-backed		66		0			0		2		(4)		(1)		71			(90)			44		0
Commercial
mortgage-backed		49		0			2		6		0		0		3			(52)			8		0
Asset-backed		2,540		0			(10)		1,049		(166)		(11)		1			(498)			2,905		0
Corporate – non-U.S.		1,486		(27)			27		12		(54)		(74)		73			(4)			1,439		0
Government
– non-U.S.		156		(17)			(8)		27		0		(13)		107			(140)			112		0
U.S. government and
federal agency		210		0			46		0		0		0		0			0			256		0
Retained interests		39		(19)			24		1		(4)		(4)		0			0			37		0
Equity
Available-for-sale		24		0			(1)		0		0		0		4			(3)			24		0
Derivatives(d)(e)		227		86			4		2		0		(191)		0			6			134		67
Other		450		2			14		144		(95)		(6)		0			0			509		0
Total	$	8,670	$	104		$	45	$	1,852	$	(503)	$	(409)	$	379		$	(914)		$	9,224	$	67

Earnings effects are primarily included in the “Revenues from services” and “Interest” captions in the Condensed Statement of Earnings.
Transfers in and out of Level 3 are considered to occur at the beginning of the period. Transfers out of Level 3 were a result of increased use of quotes from independent pricing vendors based on recent trading activity.
Represented the amount of unrealized gains or losses for the period included in earnings.
Represented derivative assets net of derivative liabilities and included cash accruals of $3 million not reflected in the fair value hierarchy table.
Gains (losses) included in net realized/unrealized gains (losses) included in earnings were offset by the earnings effects from the underlying items that were economically hedged. See Note 11.

Non-recurring fair value amounts (as measured at the time of the adjustment) for those assets remeasured to fair value on a non-recurring basis


	Remeasured during				Remeasured during
	the nine months ended				the year ended
	September 30, 2012				December 31, 2011
(In millions)	Level 2		Level 3		Level 2		Level 3

Financing receivables and loans held for sale	$	482	$	3,798	$	158	$	5,159
Cost and equity method investments(a)		4		336		0		402
Long-lived assets, including real estate		483		1,484		1,343		3,254
Total	$	969	$	5,618	$	1,501	$	8,815

Includes the fair value of private equity and real estate funds included in Level 3 of $82 million and $123 million at September 30, 2012 and December 31, 2011, respectively.

Significant Unobservable Inputs Used For Level Three Recurring And Nonrecurring Measurements [Table Text Block]


	Three months ended September 30,				Nine months ended September 30,
(In millions)	2012		2011		2012		2011

Financing receivables and loans held for sale	$	(225)	$	(254)	$	(411)	$	(716)
Cost and equity method investments(a)		(50)		(84)		(105)		(254)
Long-lived assets, including real estate(b)		(271)		(367)		(473)		(1,262)
Total	$	(546)	$	(705)	$	(989)	$	(2,232)

Includes fair value adjustments associated with private equity and real estate funds of $(1) million and $(3) million in the three months ended September 30, 2012 and 2011, respectively, and $(3) million and $(16) million in the nine months ended September 30, 2012 and 2011, respectively.
Includes impairments related to real estate equity properties and investments recorded in operating and administrative expenses of $71 million and $223 million in the three months ended September 30, 2012 and 2011, respectively, and $126 million and $999 million in the nine months ended September 30, 2012 and 2011, respectively.

Fair value adjustments to assets measured on a non-recurring basis


	Fair value at					Range
	September 30,		Valuation	Unobservable		(weighted
(Dollars in millions)	2012		technique	inputs		average)

Recurring fair value measurements

Investment securities

Debt

U.S. corporate	$	1,579	Income approach	Discount rate	(a)	1.6%-28.8% (10.8%)

Asset-backed		4,773	Income approach	Discount rate	(a)	1.3%-13.3% (3.5%)

Corporate Non-U.S.		922	Income approach	Discount rate	(a)	0.2%-29.7% (12.2%)

Other financial assets		398	Market comparables	Weighted average		9.2%-10.9% (9.3%)
				cost of capital
Non-recurring fair value measurements

Financing receivables and loans held for sale	$	2,382	Income approach	Capitalization rate	(b)	5.4%-27.9% (8.4%)

		225	Business enterprise	EBITDA multiple		4.0X-6.9X (4.6X)
			value

Cost and equity method investments		99	Income approach	Capitalization rate	(b)	8.6%-12.8% (9.2%)

Long-lived assets, including real estate		764	Income approach	Capitalization rate	(b)	4.8%-14.6% (8.2%)

Discount rates are determined based on inputs that market participants would use when pricing investments, including credit and liquidity risk. An increase in the discount rate would result in a decrease in the fair value.
Represents the rate of return on net operating income which is considered acceptable for an investor and is used to determine a property's capitalized value. An increase in the capitalization rate would result in a decrease in the fair value.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details